Approximation of SDEs by Population-Size-Dependent Galton–Watson Processes

DOI10.1080/07362990903136496zbMath1190.60048OpenAlexW2019588534MaRDI QIDQ5305285

Henryk Zähle

Publication date: 19 March 2010

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990903136496

zbMATH Keywords

stochastic differential equationweak convergencemartingale problemCox-Ingersoll-Ross modelGalton-Watson processdiscrete time discrete space approximationpopulation-size dependent branching

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Weak approximation of SDEs by discrete-time processes

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